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UrmaBlume

Daily 10/15

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Today's Market Report - ES - 10/15/2009

Archive of Daily Market Reorts

Most recent update is on top.

Please Scroll Down to See Today's Entire Report

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Today's Numbers

0830 EST Initial and Continuing Jobless Claims, Core CPI, CPI, Empire Manufacturing

1000 Philadelphia Fed

1300 Crude Inventories

************

At just past 0400 PST as the price bested yesterday's high by 1 tick

the seller appeared. This shot of the HUD shows his strength.

At 2 hours before the open trade is at 144% of average volume with a strong sell bias and

net new commercial trade of -16,733 contracts

 

101509hud1.jpg

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This is a shot of overnight commercial commitment. It is based on a 1 minute chart so it can be normalized for time of day. The right axis is percentage of normal. Time frames range from 4 minutes to 405 minutes.

 

overnitetc.jpg

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Day Summary

Another day, Another New High

Trade was on just under average volume with a medium buy bias.

Net New Trade by Commercials was significant at +69, 198 contracts.

 

101509rpt2.jpg

 

How are you determining what net new trade is commercial or not when you no longer have access to as many large blocks of trade given the new changes brought forth by the CME?

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How are you determining what net new trade is commercial or not when you no longer have access to as many large blocks of trade given the new changes brought forth by the CME?

 

You have it wrong Dave, they are NOT breaking down large trades. The old way was to combine trades. The new way is much more useful.

 

See this post

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So based on this post, the method of tracking commercial trade is by viewing the volume that takes place during an intensity spike?

 

The direction of price movement that follows will give you an indication if the trades are buys or sells regardless if the trades are happening at the bid or offer.

 

Is this along the longs of detecting this commercial trade?

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So based on this post, the method of tracking commercial trade is by viewing the volume that takes place during an intensity spike? The direction of price movement that follows will give you an indication if the trades are buys or sells regardless if the trades are happening at the bid or offer.Is this along the longs of detecting this commercial trade?

 

Dave,

 

No, we don't wait to see which way the market moves after a spike to see whether it was buying or selling. If you will notice on ALL of the graphs of these intisity spikes the sell spikes are blue and the buy spikes are red.

 

There is a certain dynamic inside that trade that gives it away and it is not about trade on the bid or asked. I have posted a description of the calculation of this indicator and it is more than volume and time.

 

That description is "When taken in combination, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade reveal a certain dynamic that we find present at many, if not most, intra-session extremes." Another clue is that there is more than one data feed involved.

 

Also you have misunderstood the change in CME reporting - They are not breaking down large trades it is that they are no longer combining smaller trades.

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Another clue is that there is more than one data feed involved.

 

Also you have misunderstood the change in CME reporting - They are not breaking down large trades it is that they are no longer combining smaller trades.

 

I was curious about this second data feed and called TradeStation as the CME is now reporting trades down to the millisecond. I asked them if they were now reporting trades to the millisecond as their data comes from the CME. I was told that indeed, that is the case - their data comes from the CME so their data is now reporting down to the millisecond. I understand that there is no "millisecond chart", so the data needs to be compiled and made into an indicator which can then be put on a volume chart - but if this is the case, I don't understand the need for a 2nd datafeed. I followed up with one more question to TS, and that is - if all the data from the different vendors (CQG, DTN, E-Signal, TS, etc) comes from the same CME feed - isn't it all the same data and what's the difference? I was told that there would be no difference, it's all the same data, and the raw data is shown in the time & sales window. I must be missing something or am told wrong if you say there is a need for a 2nd datafeed. Could you please enlighten me a bit on this? Thanks so much.

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Believe me, there are MUCH BETTER data feeds then TS.....it has to do with HOW the vendor handles that data BEFORE they pump it to your platform. Some vendor data feeds have bad latency, bundled or throttled reporting, etc, AFTER they get the data from the CME. There are a whole bunch of differences in how various data vendors handle the CME feed before they send it to you.

 

Multiple data feeds to a platform can be one feed for indicator plotting/reporting (the really good feed) and the second feed for orders execution (the standard platform execution feed).....that is only one example.

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indeed, although CME has improved its data report...

sadly, many dataproviders are still aggregating their feed.

if you have 2 feeds, you might notice differences between the two.

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I was curious about this second data feed and called TradeStation as the CME is now reporting trades down to the millisecond. I asked them if they were now reporting trades to the millisecond as their data comes from the CME. I was told that indeed, that is the case - their data comes from the CME so their data is now reporting down to the millisecond. I understand that there is no "millisecond chart", so the data needs to be compiled and made into an indicator which can then be put on a volume chart - but if this is the case, I don't understand the need for a 2nd datafeed. I followed up with one more question to TS, and that is - if all the data from the different vendors (CQG, DTN, E-Signal, TS, etc) comes from the same CME feed - isn't it all the same data and what's the difference? I was told that there would be no difference, it's all the same data, and the raw data is shown in the time & sales window. I must be missing something or am told wrong if you say there is a need for a 2nd datafeed. Could you please enlighten me a bit on this? Thanks so much.

 

Naturally it all comes from the same source but different things happen to it from different vendors before it gets to you. The difference is called latency.

 

The problems with the TS platform is that their time stamp only has granularity down to 1 minute.

 

As to the second data feed, its not so much about second data feed as it is about a different input value.

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Multiple data feeds to a platform can be one feed for indicator plotting/reporting (the really good feed) and the second feed for orders execution (the standard platform execution feed).....that is only one example.

 

Its not about different feed for different purposes its about different feeds for different input values.

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Maybe the second data feed provides something like "Fast Cash" or PREM? This way speculators could be separated from the arbs. eSignal provides EPREM A0, but not to great resolution, maybe down to 1-2 sec. That might get in the ballpark, but not super accurate.

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Its not about different feed for different purposes its about different feeds for different input values.

 

Right - that is what I was thinking, and that is why I asked the question (and I'm thinking I asked it of the wrong person when I asked it of TradeStation) "if all the data is coming from the CME, wouldn't all these different data vendors be providing the same inputs....which can be found in the time and sales window?" I was told yes, that is true - they are all giving time of trade, price, contracts traded (size), and whether it is at the ask or at the bid. But based on what you are saying, it is just not true - different feeds provide different input values. Any further clarification you could provide or to point me in the right direction would be most appreciated. Thank you.

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Right - that is what I was thinking, and that is why I asked the question (and I'm thinking I asked it of the wrong person when I asked it of TradeStation) "if all the data is coming from the CME, wouldn't all these different data vendors be providing the same inputs....which can be found in the time and sales window?" I was told yes, that is true - they are all giving time of trade, price, contracts traded (size), and whether it is at the ask or at the bid. But based on what you are saying, it is just not true - different feeds provide different input values. Any further clarification you could provide or to point me in the right direction would be most appreciated. Thank you.

 

I think what UB is saying is not that he has multiple feeds providing the same information, but multiple feeds providing different types of information all at the same time, perhaps feeds of info concerning the seperation and attributing of volume to commercial or retail traders based on technologies or streams of information were not privy to. Just my 2 cents.

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I think what UB is saying is not that he has multiple feeds providing the same information, but multiple feeds providing different types of information all at the same time, perhaps feeds of info concerning the seperation and attributing of volume to commercial or retail traders based on technologies or streams of information were not privy to. Just my 2 cents.

 

I thought so too - so I googled commercial data vendors (as opposed to retail, which is what I figure I am), and went to the companies websites which appeared to cater to the upper end. What I found was that most of them talked about being low latency, but I didn't find them saying that they provided different types of information.

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I thought so too - so I googled commercial data vendors (as opposed to retail, which is what I figure I am), and went to the companies websites which appeared to cater to the upper end. What I found was that most of them talked about being low latency, but I didn't find them saying that they provided different types of information.

 

Just remember upfront that UB has been involved in the industry for years on lots of levels and is going to carry that with him wherever he goes. His contacts are no doubt dealing in technologies that are never going to be offered mainstream, so you might as well relax and learn what you can from him. It's theory that matters, not technology! The concepts and ways that the man sees the market everyday are what I'd love to learn, you can keep the computer stuff.

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Dave,

 

No, we don't wait to see which way the market moves after a spike to see whether it was buying or selling. If you will notice on ALL of the graphs of these intisity spikes the sell spikes are blue and the buy spikes are red.

 

There is a certain dynamic inside that trade that gives it away and it is not about trade on the bid or asked. I have posted a description of the calculation of this indicator and it is more than volume and time.

 

That description is "When taken in combination, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade reveal a certain dynamic that we find present at many, if not most, intra-session extremes." Another clue is that there is more than one data feed involved.

 

Also you have misunderstood the change in CME reporting - They are not breaking down large trades it is that they are no longer combining smaller trades.

 

 

One thing that I have noticed in my own analysis is that much of the trade on a swing low will be responsive and will therefore occur at the bid while swing highs will also be responsive and therefore occur at the ask. In both cases this institutional buying/selling is acting as a built in break to stop the market in it's tracks and reverse its direction.

 

Regardless of the spike - how does this explain what constitutes as commercial vs non commercial trade? Based on your definitions would trade ever be considered commercial that happens outside of a spike?

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Maybe the second data feed provides something like "Fast Cash" or PREM? This way speculators could be separated from the arbs. eSignal provides EPREM A0, but not to great resolution, maybe down to 1-2 sec. That might get in the ballpark, but not super accurate.

 

Why does it have to be especially "accurate"?

 

S&P 500 is the futures market for a stock market. If the second data feed was something indicating the volume in the underlying stock market (whether aggregated index, premium, whatever) then couldn't it be possible that a trade intensity spike corresponding to a spike in the volume in the stock market would likely be an arbitrage and therefore something we might ignore... if there is no corresponding spike in volume in the stock market, then we can consider it commercial spike and use it.

 

1-2 second accuracy would be enough, it takes longer than that for the spike to "take affect" anyway. See a spike, check the market internals, no spike there, ok, take the trade. Not sure... but fits the description so far anyway, I think.

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Why does it have to be especially "accurate"?

 

S&P 500 is the futures market for a stock market. If the second data feed was something indicating the volume in the underlying stock market (whether aggregated index, premium, whatever) then couldn't it be possible that a trade intensity spike corresponding to a spike in the volume in the stock market would likely be an arbitrage and therefore something we might ignore... if there is no corresponding spike in volume in the stock market, then we can consider it commercial spike and use it.

 

1-2 second accuracy would be enough, it takes longer than that for the spike to "take affect" anyway. See a spike, check the market internals, no spike there, ok, take the trade. Not sure... but fits the description so far anyway, I think.

 

 

What if the second feed was just confirmation of intensity across futures representing different markets i.e. YM, NQ and Russell.

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What if the second feed was just confirmation of intensity across futures representing different markets i.e. YM, NQ and Russell.

 

Seems to me highly unlikely that a separate feed is required for that. I have a single feed and I can get all that info.

 

Also, an arbitrage trade could include multiple futures symbols at the same time as the stock market.

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